Forward Measures

Damir Filipović ()
Additional contact information
Damir Filipović: University of Vienna, and Vienna University of Economics and Business

Chapter Chapter 7 in Term-Structure Models, 2009, pp 105-116 from Springer

Abstract: Abstract In this chapter we replace the risk-free numeraire by another traded asset, such as the T-bond. This change of numeraire technique proves most useful for option pricing and provides the basis for the market models studied below. We derive explicit option price formulas for Gaussian HJM models. This includes the Vasiček short-rate model and some extension of the Black–Scholes model with stochastic interest rates.

Keywords: Option Price; Forward Rate; Bond Price; Scholes Model; European Call Option (search for similar items in EconPapers)
Date: 2009
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:sprfcp:978-3-540-68015-4_7

Ordering information: This item can be ordered from
http://www.springer.com/9783540680154

DOI: 10.1007/978-3-540-68015-4_7

Access Statistics for this chapter

More chapters in Springer Finance from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().